NPORT-EX 2 HG_USREE.htm HTML

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

COMMON STOCKS — 98.9%

 

Aerospace & Defense — 1.0%

 

General Dynamics Corp.

      53        7,319  

Northrop Grumman Corp.

      57        17,951  

Raytheon Technologies Corp.

      356        20,485  
     

 

 

  
        45,755  
     

 

 

  

Airlines — 0.3%

      

Delta Air Lines, Inc.

      151        4,628  

Southwest Airlines Co.

      196        7,359  
     

 

 

  
        11,987  
     

 

 

  

Auto Components — 0.1%

      

Magna International, Inc. (Canada)

      144        6,575  
     

 

 

  

Automobiles — 0.2%

      

General Motors Co.

      278        8,230  
     

 

 

  

Banks — 3.0%

      

Bank of America Corp.

      839        20,208  

Citigroup, Inc.

      947        40,823  

Citizens Financial Group, Inc.

      346        8,735  

KeyCorp

      1,182        14,107  

Regions Financial Corp.

      913        10,522  

Truist Financial Corp.

      160        6,091  

US Bancorp

      279        10,009  

Wells Fargo & Co.

      959        22,544  
     

 

 

  
        133,039  
     

 

 

  

Beverages — 1.2%

      

Coca-Cola Co. (The)

      623        30,759  

Constellation Brands, Inc., Class A

      120        22,812  
     

 

 

  
        53,571  
     

 

 

  

Biotechnology — 2.6%

      

AbbVie, Inc.

      535        46,882  

Alexion Pharmaceuticals, Inc. *

      138        15,742  

Amgen, Inc.

      29        7,441  

Biogen, Inc. *

      43        12,266  

Regeneron Pharmaceuticals, Inc. *

      29        16,231  

Vertex Pharmaceuticals, Inc. *

      72        19,589  
     

 

 

  
        118,151  
     

 

 

  

Building Products — 0.9%

      

Carrier Global Corp.

      395        12,071  

Masco Corp.

      273        15,041  

Trane Technologies plc

      123        14,903  
     

 

 

  
        42,015  
     

 

 

  

Capital Markets — 2.9%

      

BlackRock, Inc.

      50        28,430  

Goldman Sachs Group, Inc. (The)

      52        10,502  

Intercontinental Exchange, Inc.

      109        10,865  

MarketAxess Holdings, Inc.

      12        5,833  

Morgan Stanley

      552        26,670  

MSCI, Inc.

      17        6,203  

S&P Global, Inc.

      81        29,243  

State Street Corp.

      170        10,091  

T. Rowe Price Group, Inc.

      32        4,145  
     

 

 

  
        131,982  
     

 

 

  

Chemicals — 1.7%

      

Air Products and Chemicals, Inc.

      35        10,286  

Celanese Corp.

      89        9,576  

Dow, Inc.

      211        9,935  

DuPont de Nemours, Inc.

      166        9,184  

Eastman Chemical Co.

      235        18,396  

Linde plc (United Kingdom)

      60        14,316  

LyondellBasell Industries NV, Class A

      80        5,623  
     

 

 

  
        77,316  
     

 

 

  

Commercial Services & Supplies — 0.1%

      

Cintas Corp.

      17        5,605  
     

 

 

  

Communications Equipment — 0.4%

      

Cisco Systems, Inc.

      351        13,842  

Motorola Solutions, Inc.

      16        2,455  
     

 

 

  
        16,297  
     

 

 

  

Consumer Finance — 0.4%

      

Capital One Financial Corp.

      245        17,631  
     

 

 

  

Containers & Packaging — 0.6%

      

Avery Dennison Corp.

      79        10,046  

Crown Holdings, Inc. *

      115        8,817  

Packaging Corp. of America

      31        3,426  

Westrock Co.

      163        5,676  
     

 

 

  
        27,965  
     

 

 

  

Diversified Consumer Services — 0.0% (a)

      

H&R Block, Inc.

      63        1,019  
     

 

 

  

Diversified Financial Services — 1.7%

      

Berkshire Hathaway, Inc., Class B *

      346        73,669  

Voya Financial, Inc.

      59        2,819  
     

 

 

  
        76,488  
     

 

 

  

Diversified Telecommunication Services — 1.1%

      

Verizon Communications, Inc.

      829        49,290  
     

 

 

  

Electric Utilities — 1.8%

      

Entergy Corp.

      236        23,269  

FirstEnergy Corp.

      90        2,586  

NextEra Energy, Inc.

      167        46,459  

Xcel Energy, Inc.

      117        8,089  
     

 

 

  
        80,403  
     

 

 

  

Electrical Equipment — 1.0%

      

Eaton Corp. plc

      312        31,844  

Emerson Electric Co.

      168        10,999  
     

 

 

  
        42,843  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.2%

      

TE Connectivity Ltd.

      78        7,628  
     

 

 

  

Entertainment — 1.3%

      

Electronic Arts, Inc. *

      51        6,693  

Netflix, Inc. *

      106        53,140  
     

 

 

  
        59,833  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.9%

      

Camden Property Trust

      113        10,064  

Equinix, Inc.

      32        24,009  

Equity LifeStyle Properties, Inc.

      66        4,024  

Mid-America Apartment Communities, Inc.

      71        8,177  

Prologis, Inc.

      259        26,043  

Realty Income Corp.

      34        2,040  

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

Investments

    Shares (000)      Value ($000)  

Sun Communities, Inc.

      22        3,045  

UDR, Inc.

      47        1,523  

Ventas, Inc.

      124        5,207  
     

 

 

  
        84,132  
     

 

 

  

Food & Staples Retailing — 0.6%

      

Costco Wholesale Corp.

      56        19,732  

Kroger Co. (The)

      222        7,543  
     

 

 

  
        27,275  
     

 

 

  

Food Products — 0.8%

      

Conagra Brands, Inc.

      79        2,810  

Mondelez International, Inc., Class A

      544        31,225  
     

 

 

  
        34,035  
     

 

 

  

Health Care Equipment & Supplies — 3.0%

      

ABIOMED, Inc. *

      7        1,990  

Baxter International, Inc.

      264        21,237  

Becton Dickinson and Co.

      60        13,874  

Boston Scientific Corp. *

      392        14,985  

DexCom, Inc. *

      15        6,175  

Edwards Lifesciences Corp. *

      58        4,643  

Intuitive Surgical, Inc. *

      13        8,944  

Medtronic plc

      362        37,588  

Zimmer Biomet Holdings, Inc.

      201        27,332  
     

 

 

  
        136,768  
     

 

 

  

Health Care Providers & Services — 2.8%

      

Anthem, Inc.

      56        15,045  

Centene Corp. *

      52        3,004  

Cigna Corp.

      137        23,128  

DaVita, Inc. *

      2        175  

McKesson Corp.

      171        25,541  

UnitedHealth Group, Inc.

      188        58,765  
     

 

 

  
        125,658  
     

 

 

  

Hotels, Restaurants & Leisure — 0.6%

      

Hilton Worldwide Holdings, Inc.

      121        10,302  

Yum! Brands, Inc.

      161        14,713  
     

 

 

  
        25,015  
     

 

 

  

Household Durables — 0.4%

      

Lennar Corp., Class A

      237        19,340  
     

 

 

  

Household Products — 2.0%

      

Kimberly-Clark Corp.

      155        22,853  

Procter & Gamble Co. (The)

      481        66,788  
     

 

 

  
        89,641  
     

 

 

  

Industrial Conglomerates — 1.1%

      

Honeywell International, Inc.

      302        49,753  
     

 

 

  

Insurance — 1.8%

      

Allstate Corp. (The)

      243        22,915  

American International Group, Inc.

      138        3,804  

Chubb Ltd.

      110        12,773  

Hartford Financial Services Group, Inc. (The)

      167        6,149  

Marsh & McLennan Cos., Inc.

      81        9,302  

MetLife, Inc.

      51        1,879  

Progressive Corp. (The)

      256        24,273  
     

 

 

  
        81,095  
     

 

 

  

Interactive Media & Services — 5.7%

      

Alphabet, Inc., Class A *

      61        88,925  

Alphabet, Inc., Class C *

      49        71,393  

Facebook, Inc., Class A *

      365        95,633  
     

 

 

  
        255,951  
     

 

 

  

Internet & Direct Marketing Retail — 5.6%

      

Amazon.com, Inc. *

      74        233,506  

Booking Holdings, Inc. *

      11        18,609  
     

 

 

  
        252,115  
     

 

 

  

IT Services — 6.2%

      

Accenture plc, Class A

      166        37,548  

Automatic Data Processing, Inc.

      81        11,264  

Booz Allen Hamilton Holding Corp.

      53        4,406  

FleetCor Technologies, Inc. *

      14        3,244  

International Business Machines Corp.

      211        25,617  

Leidos Holdings, Inc.

      185        16,518  

Mastercard, Inc., Class A

      243        82,194  

PayPal Holdings, Inc. *

      287        56,462  

Visa, Inc., Class A

      220        43,948  
     

 

 

  
        281,201  
     

 

 

  

Life Sciences Tools & Services — 1.5%

      

Illumina, Inc. *

      36        11,224  

Thermo Fisher Scientific, Inc.

      123        54,161  

Waters Corp. *

      11        2,152  
     

 

 

  
        67,537  
     

 

 

  

Machinery — 1.9%

      

Cummins, Inc.

      89        18,739  

Deere & Co.

      59        13,075  

Parker-Hannifin Corp.

      106        21,448  

Snap-on, Inc.

      46        6,774  

Stanley Black & Decker, Inc.

      149        24,092  
     

 

 

  
        84,128  
     

 

 

  

Media — 2.5%

      

Altice USA, Inc., Class A *

      166        4,327  

Charter Communications, Inc., Class A *

      72        45,026  

Comcast Corp., Class A

      966        44,693  

Discovery, Inc., Class A *

      340        7,398  

Discovery, Inc., Class C *

      489        9,583  
     

 

 

  
        111,027  
     

 

 

  

Metals & Mining — 0.2%

      

Newmont Corp.

      126        7,990  
     

 

 

  

Multiline Retail — 0.8%

      

Dollar Tree, Inc. *

      111        10,160  

Target Corp.

      178        27,980  
     

 

 

  
        38,140  
     

 

 

  

Multi-Utilities — 1.1%

      

Ameren Corp.

      92        7,291  

CMS Energy Corp.

      178        10,916  

DTE Energy Co.

      94        10,779  

Public Service Enterprise Group, Inc.

      289        15,858  

Sempra Energy

      47        5,585  
     

 

 

  
        50,429  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.1%

      

Cabot Oil & Gas Corp.

      76        1,313  

Cheniere Energy, Inc. *

      97        4,470  

Chevron Corp.

      391        28,131  

Diamondback Energy, Inc.

      137        4,113  

EOG Resources, Inc.

      370        13,297  

Exxon Mobil Corp.

      187        6,411  

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

Investments

    Shares (000)      Value ($000)  

Kinder Morgan, Inc.

      348        4,290  

Phillips 66

      228        11,835  

Pioneer Natural Resources Co.

      172        14,783  

Williams Cos., Inc. (The)

      192        3,780  
     

 

 

  
        92,423  
     

 

 

  

Personal Products — 0.2%

      

Estee Lauder Cos., Inc. (The), Class A

      45        9,865  
     

 

 

  

Pharmaceuticals — 4.0%

      

Bristol-Myers Squibb Co.

      723        43,578  

Eli Lilly and Co.

      244        36,044  

Johnson & Johnson

      270        40,150  

Merck & Co., Inc.

      663        55,031  

Pfizer, Inc.

      204        7,481  
     

 

 

  
        182,284  
     

 

 

  

Professional Services — 0.1%

      

Verisk Analytics, Inc.

      26        4,810  
     

 

 

  

Road & Rail — 1.4%

      

CSX Corp.

      224        17,418  

Lyft, Inc., Class A *

      73        2,002  

Norfolk Southern Corp.

      166        35,496  

Union Pacific Corp.

      31        6,191  
     

 

 

  
        61,107  
     

 

 

  

Semiconductors & Semiconductor Equipment — 5.6%

      

Advanced Micro Devices, Inc. *

      292        23,974  

Analog Devices, Inc.

      243        28,390  

Applied Materials, Inc.

      379        22,523  

Intel Corp.

      201        10,410  

Lam Research Corp.

      54        17,796  

Microchip Technology, Inc.

      85        8,734  

Micron Technology, Inc. *

      257        12,064  

NVIDIA Corp.

      81        43,872  

NXP Semiconductors NV (Netherlands)

      158        19,748  

Qorvo, Inc. *

      91        11,803  

QUALCOMM, Inc.

      64        7,479  

Texas Instruments, Inc.

      311        44,415  
     

 

 

  
        251,208  
     

 

 

  

Software — 8.9%

      

Fortinet, Inc. *

      23        2,675  

Intuit, Inc.

      101        33,102  

Microsoft Corp.

      1,414        297,427  

salesforce.com, Inc. *

      236        59,234  

Workday, Inc., Class A *

      48        10,401  
     

 

 

  
        402,839  
     

 

 

  

Specialty Retail — 3.6%

      

AutoZone, Inc. *

      17        20,274  

Best Buy Co., Inc.

      245        27,306  

Home Depot, Inc. (The)

      185        51,334  

Lowe’s Cos., Inc.

      277        45,958  

Ross Stores, Inc.

      8        707  

TJX Cos., Inc. (The)

      339        18,890  
     

 

 

  
        164,469  
     

 

 

  

Technology Hardware, Storage & Peripherals — 7.2%

      

Apple, Inc.

      2,720        315,033  

HP, Inc.

      533        10,121  
     

 

 

  
        325,154  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.0%

      

Carter’s, Inc.

      124        10,774  

NIKE, Inc., Class B

      275        34,469  
     

 

 

  
        45,243  
     

 

 

  

Tobacco — 1.2%

      

Altria Group, Inc.

      641        24,755  

Philip Morris International, Inc.

      418        31,362  
     

 

 

  
        56,117  
     

 

 

  

Wireless Telecommunication Services — 0.6%

      

T-Mobile US, Inc. *

      234        26,739  
     

 

 

  

TOTAL COMMON STOCKS

(Cost $2,778,471)

         4,457,111  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.8%

      

INVESTMENT COMPANIES — 0.8%

      

JPMorgan Prime Money Market Fund Class IM Shares, 0.23% (b) (c)

(Cost $35,036)

      35,020        35,044  
     

 

 

  
Total Investments — 99.7%
(Cost $2,813,507)

 

      4,492,155  

Other Assets Less Liabilities — 0.3%

 

      15,500  
     

 

 

  

Net Assets — 100.0%

 

      4,507,655  
     

 

 

  

 

Percentages indicated are based on net assets.

 

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

(a)

Amount rounds to less than 0.1% of net assets.

(b)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(c)

The rate shown is the current yield as of September 30, 2020.

*

Non-income producing security.

Futures contracts outstanding as of September 30, 2020 (amounts in thousands, except number of contracts):

 

Description

    Number of
Contracts		      Expiration
Date		      Trading
Currency		      Notional Amount
($)		      Value and
Unrealized
Appreciation
(Depreciation) ($)		  

Long Contracts

 

S&P 500 E-Mini Index

      275        12/2020        USD        46,056        340  
              

 

 

  

Abbreviations

 

USD

United States Dollar

A. Valuation of Investments – Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.

Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures contracts are generally valued on the basis of available market quotations.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.

 

•  

Level 1 – Unadjusted inputs using quoted prices in active markets for identical investments.

 

•  

Level 2 – Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

 

•  

Level 3 – Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”) (amounts in thousands):

 

     Level 1
Quoted prices		      Level 2
Other significant observable
inputs		      Level 3
Significant unobservable
inputs		      Total  

Total Investments in Securities(a)

    $ 4,492,155      $ —        $ —        $ 4,492,155  
  

 

 

     

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts(a)

    $ 340      $ —        $ —        $ 340  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Please refer to the SOI for specifics of portfolio holdings.

B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

For the period ended September 30, 2020

  

Security Description

    Value at
June 30,
2020		      Purchases
at Cost		      Proceeds
from Sales		      Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		      Value at
September 30,
2020		      Shares at
September 30,
2020		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 0.23% (a) (b)

    $ 110,144      $ 137,629      $ 212,719      $ (12 )    $ 2      $ 35,044        35,020      $ 30      $ —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

        

 

 

     

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of September 30, 2020.